: (i) monetary volatility negatively affects long-run growth; (ii) the relation between nominal volatility and growth … increases the negative effect of nominal volatility on mean growth. …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …